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Christian Schlag

Goethe University Frankfurt - Research Center SAFE

(http://www.safe-frankfurt.de)

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

  • Goethe University Frankfurt - Research Center SAFE

    • Email
    • Tel: +49 69 798 33699
    • Fax: +49 69 798 33901
SCHOLARLY PAPERS

35

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79

Scholarly Papers (35)

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1.

Model Risk: A Conceptual Framework for Risk Measurement and Hedging

EFMA 2004 Basel Meetings Paper
Number of pages: 28 Posted: 14 May 2004
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 829 (19,827)
Citation 2

Abstract:

Model Risk, Risk Measures, Hedging, Expected Shortfall, Bayesian statistics

2.

CAPM with Option-Implied Betas: Another Rescue Attempt

Number of pages: 48 Posted: 14 Feb 2009 Last Revised: 18 Mar 2009
Adrian Buss, Christian Schlag and Grigory Vilkov
INSEAD, Goethe University Frankfurt - Research Center SAFE and Frankfurt School of Finance & Management
Downloads 531 (36,892)

Abstract:

conditional CAPM, regime switching, forward-looking betas, sentiment, implied correlations

3.

Price Discovery in International Equity Trading

AFA 2002 Atlanta Meetings
Number of pages: 31 Posted: 10 May 2001
Joachim Grammig, Christian Schlag and Michael Melvin
Eberhard Karls Universitaet Tübingen, Goethe University Frankfurt - Research Center SAFE and University of California, San Diego (UCSD) - Rady School of Management
Downloads 471 (45,371)
Citation 10

Abstract:

4.

Why is the Index Smile So Steep?

EFMA 2003 Helsinki Meetings
Number of pages: 21 Posted: 11 Oct 2002
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 460 (48,161)
Citation 12

Abstract:

Option pricing, jump-diffusion, smile, implied volatility

5.

The Dynamics of Risk-Neutral Implied Moments: Evidence from Individual Options

Number of pages: 32 Posted: 10 Sep 2009 Last Revised: 02 Feb 2010
Alexandra Hansis, Christian Schlag and Grigory Vilkov
Goethe University Frankfurt - House of Finance, Goethe University Frankfurt - Research Center SAFE and Frankfurt School of Finance & Management
Downloads 437 (43,579)
Citation 2

Abstract:

risk-neutral distribution, option-implied moments, model-free variance, skewness, kurtosis, vector autoregression

6.

An Empirical Analysis of the Relation Between Option Market Liquidity and Stock Market Activity

EFMA 2004 Basel Meetings Paper
Number of pages: 42 Posted: 28 May 2004
Iskra Kalodera and Christian Schlag
University of Frankfurt and Goethe University Frankfurt - Research Center SAFE
Downloads 434 (49,194)
Citation 3

Abstract:

Liquidity, market activity, options markets

7.

An Economic Motivation for Variance Contracts

AFA 2006 Boston Meetings Paper
Number of pages: 41 Posted: 18 Mar 2005
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 385 (59,786)
Citation 5

Abstract:

Variance Risk, Stochastic Volatility, Jump-Diffusion, Model Risk, Parameter Risk, Hedging Error

8.

Has There Always Been Underpricing and Long-Run Underperformance? - IPOs in Germany Before World War I

EFA 0469; Center for Financial Studies WP No. 2000/12
Number of pages: 24 Posted: 15 Jan 2001
Anja Wodrich and Christian Schlag
Center for Financial Studies (CFS) and Goethe University Frankfurt - Research Center SAFE
Downloads 370 (61,074)
Citation 4

Abstract:

Initial Public Offerings, Underpricing, Long-Run Underperformance, Prize Stabilization, Impact of Changing Stock-Market Regulation and Institutional Setting on Underpricing

9.

Option Betas

Number of pages: 32 Posted: 22 Jun 2002
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 327 (69,901)

Abstract:

asset pricing, option pricing, beta, risk management

10.

Expected Option Returns and the Structure of Jump Risk Premia

Downloads 289 ( 85,357)
Citation 2

Expected Option Returns and the Structure of Jump Risk Premia

EFA 2009 Bergen Meetings Paper
Number of pages: 39 Posted: 11 Feb 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 166 (147,926)
Citation 2

Abstract:

Option returns, put puzzle, jump risk premia, volatility risk premium

Expected Option Returns and the Structure of Jump Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 40 Posted: 18 Mar 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 123 (189,952)
Citation 2

Abstract:

Option returns, put puzzle, jump risk premia, volatility risk premium

11.

Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?

EFMA 2004 Basel Meetings Paper
Number of pages: 38 Posted: 14 May 2004
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 278 (82,451)
Citation 13

Abstract:

Stochastic Volatility, Volatility Risk Premium, Discretization Error, Model Error

12.

Over-Allotment Options in IPOs on Germany's Neuer Markt - An Empirical Investigation

EFMA 2004 Basel Meetings Paper; CFS Working Paper No. 2002/16
Number of pages: 33 Posted: 14 Jul 2003
Stefanie Franzke and Christian Schlag
Center for Financial Studies an der Universität Frankfurt and Goethe University Frankfurt - Research Center SAFE
Downloads 275 (83,415)
Citation 5

Abstract:

Over-Allotment Option, Flotation Costs, Underwriter Fee, Neuer Markt

13.

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Downloads 240 (104,194)
Citation 1

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 60 Posted: 16 Mar 2011
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University - Department of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 137 (174,307)
Citation 1

Abstract:

Asset pricing, Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 59 Posted: 14 Mar 2012
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University and Goethe University Frankfurt - Research Center SAFE
Downloads 103 (216,773)
Citation 1

Abstract:

Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility, level and slope of implied volatility smile

14.

Mean-Variance Hedging With Limited Capital - A Decomposition Result

Number of pages: 18 Posted: 27 Mar 2002
Nicole Branger, Christian Schlag, Angelika Esser and Yulia Bondarenko
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE, Sal. Oppenheim Jr. & Cie. and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 202 (121,320)

Abstract:

Mean-Variance hedging, risk management, limited capital, expected squared hedging error, optimal trading strategy, incomplete market, hedging numeraire

15.

The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks

EFA 2004 Maastricht Meetings Paper No. 3267
Number of pages: 46 Posted: 22 Jul 2004
Joachim Grammig, Christian Schlag and Michael Melvin
Eberhard Karls Universitaet Tübingen, Goethe University Frankfurt - Research Center SAFE and University of California, San Diego (UCSD) - Rady School of Management
Downloads 200 (118,491)
Citation 13

Abstract:

16.

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Downloads 147 (164,185)
Citation 2

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Number of pages: 38 Posted: 12 Feb 2009
Paulo Rodrigues and Christian Schlag
Maastricht University - Department of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 80 (256,339)
Citation 2

Abstract:

Stochastic volatility, individual stocks, MCMC, volatility factors

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Number of pages: 38 Posted: 20 Mar 2009
Paulo Rodrigues and Christian Schlag
Maastricht University - Department of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 67 (284,375)
Citation 2

Abstract:

stochastic volatility, individual stocks, MCMC, volatility factors

17.

Asset Pricing Under Uncertainty About Shock Propagation

SAFE Working Paper No. 34
Number of pages: 67 Posted: 28 Nov 2013 Last Revised: 25 Mar 2014
Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding and Christian Schlag
University of Muenster - Finance Center Muenster, Bank of Lithuania - CEFER, Goethe University Frankfurt, Deutsche Bundesbank and Goethe University Frankfurt - Research Center SAFE
Downloads 145 (110,238)

Abstract:

General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility

18.

When are Static Superhedging Strategies Optimal?

EFMA 2004 Basel Meetings Paper
Number of pages: 34 Posted: 14 May 2004
Nicole Branger, Christian Schlag and Angelika Esser
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Sal. Oppenheim Jr. & Cie.
Downloads 136 (172,832)

Abstract:

Incomplete markets, superhedging, stochastic volatility, stochastic jumps

19.

Measuring Financial Integration via Idiosyncratic Risk: What Effects Are We Really Picking Up?

Number of pages: 8 Posted: 12 Jul 2006
David C. Parsley and Christian Schlag
Vanderbilt University – Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 129 (174,851)

Abstract:

financial market integration, risk-free rate

20.

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

Number of pages: 56 Posted: 18 Nov 2013 Last Revised: 01 Oct 2015
Nicole Branger, Patrick Konermann and Christian Schlag
University of Muenster - Finance Center Muenster, BI Norwegian Business School and Goethe University Frankfurt - Research Center SAFE
Downloads 119 (116,342)

Abstract:

Epstein-Zin utility, heterogeneous beliefs, disagreement, long-run risk, market incompleteness

21.

Learning or Robust Control

Downloads 113 (201,728)

Learning or Robust Control

Paris December 2007 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 38 Posted: 02 Mar 2007
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance
Downloads 113 (202,612)

Abstract:

Portfolio Selection, Model Uncertainty, Learning, Robust Control

Learning or Robust Control

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Posted: 17 Dec 2007 Last Revised: 14 Oct 2008
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance

Abstract:

Portfolio Selection, Model Uncertainty, Learning, Robust Control

22.

Attainability of European Path-Independent Claims in Incomplete Markets

Number of pages: 17 Posted: 21 Jan 2003
Nicole Branger, Christian Schlag and Angelika Esser
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Sal. Oppenheim Jr. & Cie.
Downloads 107 (204,394)
Citation 1

Abstract:

Incomplete markets, attainability, stochastic volatility, jump-diffusion, superhedging

23.

Rational Laymen versus Over-Confident Experts: Who Survives in the Long-Run?

EFA 2006 Zurich Meetings Paper
Number of pages: 37 Posted: 14 Mar 2006
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance
Downloads 105 (203,053)
Citation 2

Abstract:

General Equilibrium, Asset Allocation, Learning, Different Beliefs, Overconfidence

24.

Equilibrium Asset Pricing in Directed Networks

SAFE Working Paper No. 74, Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 56 Posted: 11 Nov 2014 Last Revised: 08 Apr 2017
Nicole Branger, Patrick Konermann, Christoph Meinerding and Christian Schlag
University of Muenster - Finance Center Muenster, BI Norwegian Business School, Deutsche Bundesbank and Goethe University Frankfurt - Research Center SAFE
Downloads 97 (99,427)

Abstract:

General equilibrium asset pricing, recursive preferences, dynamic networks, mutually exciting processes, directed shocks

25.

Does Ambiguity about Volatility Matter Empirically?

Number of pages: 57 Posted: 11 Dec 2014 Last Revised: 10 Oct 2016
Nicole Branger, Christian Schlag and Julian Thimme
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - House of Finance
Downloads 36 (175,865)

Abstract:

Ambiguity, ambiguous volatility, asset pricing, long-run risks

26.

Hedging Under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others ...

The Journal of Futures Markets, Vol. 32, No. 5, 397–430 (2012),
Number of pages: 50 Posted: 06 Mar 2008 Last Revised: 29 Jan 2013
Nicole Branger, Christian Schlag, Eva Schneider and Norman Seeger
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Department of Finance and VU University Amsterdam
Downloads 33 (352,345)
Citation 2

Abstract:

Hedging, Model Risk, Risk Measurement, Model Identification, Delta Hedge, Delta-Vega Hedge, Minimum-Variance Hedge

27.

Discussion of 'Bounded Rationality, Rights Offerings, and Optimal Subscription Prices'

Schmalenbach Business Review, Vol. 60, July 2008
Number of pages: 3 Posted: 12 Oct 2008
Christian Schlag
Goethe University Frankfurt - Research Center SAFE
Downloads 31 (377,003)

Abstract:

Bounded Rationality, Cultural Corporate Finance, Loss Aversion, Mental Accounting, Rights Issues, Signalling

28.

'Nobody is Perfect': Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors

SAFE Working Paper No. 114
Number of pages: 69 Posted: 12 Aug 2015
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance
Downloads 20 (261,866)

Abstract:

General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence

29.

Implied Volatility Duration and the Early Resolution Premium

Number of pages: 63 Posted: 09 Dec 2016
Christian Schlag, Julian Thimme and Rüdiger Weber
Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - House of Finance and Goethe University Frankfurt
Downloads 0 (250,204)

Abstract:

Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing

30.

Good Inflation, Bad Inflation, and the Pricing of Real Assets

Number of pages: 42 Posted: 02 Sep 2016 Last Revised: 19 Nov 2016
Ilya Dergunov, Christoph Meinerding and Christian Schlag
Goethe University Frankfurt - Research Center SAFE, Deutsche Bundesbank and Goethe University Frankfurt - Research Center SAFE
Downloads 0 (207,069)

Abstract:

Inflation, consumption disasters, recursive utility, filtering

31.

Macroeconomic Bond Risks at the Zero Lower Bound

Number of pages: 47 Posted: 12 Aug 2016
Nicole Branger, Christian Schlag, Ivan Shaliastovich and Dongho Song
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE, University of Wisconsin - Madison and Boston College - Department of Economics
Downloads 0 (292,753)

Abstract:

Macro-Finance Term Structure Models, Zero Lower Bound, Shadow Rates, Shadow Risk Premia

32.

Predictability and the Cross-Section of Expected Returns in Models with Long-Run Risks

Number of pages: 72 Posted: 02 Jun 2016
Christian Schlag, Michael Semenischev and Julian Thimme
Goethe University Frankfurt - Research Center SAFE, University of Muenster - Finance Center Muenster and Goethe University Frankfurt - House of Finance
Downloads 0 (200,437)

Abstract:

Asset pricing, cross-section of stock returns, long-run risks, predictability

33.

Commodities, Financialization, and Heterogeneous Agents

SAFE Working Paper No. 131, BoL Working Paper No. 25/2016
Number of pages: 70 Posted: 07 Apr 2016 Last Revised: 29 Apr 2016
Nicole Branger, Patrick Grüning and Christian Schlag
University of Muenster - Finance Center Muenster, Bank of Lithuania - CEFER and Goethe University Frankfurt - Research Center SAFE
Downloads 0 (171,868)

Abstract:

Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets

34.

The Leading Premium

Number of pages: 46 Posted: 20 Nov 2015 Last Revised: 09 Feb 2016
Mariano Massimiliano Croce, Tatyana Marchuk and Christian Schlag
University of North Carolina Kenan-Flagler Business School, Goethe University Frankfurt, Faculty of Economics and Business Administration, Department of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 0 (130,199)

Abstract:

35.

Expiration Day Effects of Stock Index Derivatives in Germany

EUROPEAN FINANCIAL MANAGEMENT, Vol. 2 No. 1, March 1996
Posted: 27 Oct 1999
Christian Schlag
Goethe University Frankfurt - Research Center SAFE

Abstract:

Other Papers (1)

Total Downloads: 145    Citations: 1
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1.

Pricing Two Trees When Trees and Investors are Heterogeneous

EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 01 Mar 2007 Last Revised: 26 Mar 2008
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance
Downloads 143
Citation 1

Abstract:

Asset Pricing, Two-Tree Economy, Asymmetric Information, Learning, Long-Run Survival

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